The distribution of extreme share return in different Malaysian economic circumstances

This paper presents a study on the performance of probability distribution in various financial periods by investigating the effect of economic cycle on extreme stock return activity. Malaysian stock price KLCI data from 1994-2008 were split into three economy periods corresponding to the growth, fi...

Full description

Saved in:
Bibliographic Details
Main Authors: Marsani, Muhammad Fadhil, Shabri, Ani
Format: Article
Language:English
Published: Penerbit UTM Press 2020
Subjects:
Online Access:http://eprints.utm.my/id/eprint/85571/1/AniShabri2020_TheDistributionofExtremeShareReturn.pdf
http://eprints.utm.my/id/eprint/85571/
https://mjfas.utm.my/index.php/mjfas/article/view/1356
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Universiti Teknologi Malaysia
Language: English
id my.utm.85571
record_format eprints
spelling my.utm.855712020-06-30T08:50:40Z http://eprints.utm.my/id/eprint/85571/ The distribution of extreme share return in different Malaysian economic circumstances Marsani, Muhammad Fadhil Shabri, Ani QA Mathematics This paper presents a study on the performance of probability distribution in various financial periods by investigating the effect of economic cycle on extreme stock return activity. Malaysian stock price KLCI data from 1994-2008 were split into three economy periods corresponding to the growth, financial crisis, and recovery. Four prevalent distributions, specifically generalized lambda distribution (GLD), generalized extreme value (GEV), generalized logistic (GLO), and generalized pareto (GPA) had been employed to model weekly and monthly maximum and minimum share returns of Kuala Lumpur Composite Index (KLCI). L-moment approach had been used to estimate the parameter, while k-sample Anderson darling (k-ad) test had been applied to measure the goodness of fit estimation. In conclusion, GLD is the most appropriate distribution to represent weekly maximum and minimum returns for overall three economic scenarios in Malaysia. Penerbit UTM Press 2020 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/85571/1/AniShabri2020_TheDistributionofExtremeShareReturn.pdf Marsani, Muhammad Fadhil and Shabri, Ani (2020) The distribution of extreme share return in different Malaysian economic circumstances. Malaysian Journal of Fundamental and Applied Sciences, 16 (1). pp. 75-80. ISSN 2289-5981 https://mjfas.utm.my/index.php/mjfas/article/view/1356
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Marsani, Muhammad Fadhil
Shabri, Ani
The distribution of extreme share return in different Malaysian economic circumstances
description This paper presents a study on the performance of probability distribution in various financial periods by investigating the effect of economic cycle on extreme stock return activity. Malaysian stock price KLCI data from 1994-2008 were split into three economy periods corresponding to the growth, financial crisis, and recovery. Four prevalent distributions, specifically generalized lambda distribution (GLD), generalized extreme value (GEV), generalized logistic (GLO), and generalized pareto (GPA) had been employed to model weekly and monthly maximum and minimum share returns of Kuala Lumpur Composite Index (KLCI). L-moment approach had been used to estimate the parameter, while k-sample Anderson darling (k-ad) test had been applied to measure the goodness of fit estimation. In conclusion, GLD is the most appropriate distribution to represent weekly maximum and minimum returns for overall three economic scenarios in Malaysia.
format Article
author Marsani, Muhammad Fadhil
Shabri, Ani
author_facet Marsani, Muhammad Fadhil
Shabri, Ani
author_sort Marsani, Muhammad Fadhil
title The distribution of extreme share return in different Malaysian economic circumstances
title_short The distribution of extreme share return in different Malaysian economic circumstances
title_full The distribution of extreme share return in different Malaysian economic circumstances
title_fullStr The distribution of extreme share return in different Malaysian economic circumstances
title_full_unstemmed The distribution of extreme share return in different Malaysian economic circumstances
title_sort distribution of extreme share return in different malaysian economic circumstances
publisher Penerbit UTM Press
publishDate 2020
url http://eprints.utm.my/id/eprint/85571/1/AniShabri2020_TheDistributionofExtremeShareReturn.pdf
http://eprints.utm.my/id/eprint/85571/
https://mjfas.utm.my/index.php/mjfas/article/view/1356
_version_ 1672610553266176000